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Applied Economics Volume 43, 2011 - Issue 21
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Original Articles

The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework

Kuang-Liang Chang Department of Applied Economics, National Chiayi University, Chiayi City 60054, Taiwan, ROCCorrespondence[email protected]
Pages 2627-2640 | Published online: 24 Jun 2010

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Zhi-Fu Mi, Yi-Ming Wei, Bao-Jun Tang, Rong-Gang Cong, Hao Yu, Hong Cao & Dabo Guan. (2017) Risk assessment of oil price from static and dynamic modelling approaches. Applied Economics 49:9, pages 929-939.
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Chung-Chu Chuang, Yi-Hsien Wang, Tsai-Jung Yeh & Shuo-Li Chuang. (2015) Hedging effectiveness of the hedged portfolio: the expected utility maximization subject to the value-at-risk approach. Applied Economics 47:20, pages 2040-2052.
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Articles from other publishers (4)

Wenming Shi, Kevin X. Li, Zhongzhi Yang & Ganggang Wang. (2016) Time-varying copula models in the shipping derivatives market. Empirical Economics 53:3, pages 1039-1058.
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Saralees Nadarajah & Stephen Chan. 2016. Extreme Events in Finance. Extreme Events in Finance 283 356 .
Thomas Conlon & John Cotter. (2013) Downside risk and the energy hedger's horizon. Energy Economics 36, pages 371-379.
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Peter Albrecht, Markus Huggenberger & Alexandr Pekelis. (2011) VaR- and CVaR-Minimal Futures Hedging Strategies: An Analytical Approach. SSRN Electronic Journal.
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